Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokio Marine Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tokio Marine Holdings, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 34.2%, MDD -35.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 43.5%, drawdown -69.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 39.0%, MDD -60.8%, Sharpe 0.20, 69% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 8.6%p (CAGR 34.2%, MDD -35.6%, exposure 19%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=193 |
39.0% | -60.8% | 0.20 | 0.64 | 6362.1x | 35 | 69% |
| SMA 크로스오버 fast=38, slow=99 |
36.9% | -70.5% | 0.20 | 0.52 | 4208.4x | 69 | 60% |
| Donchian 채널 돌파 entryN=28, exitN=79 |
33.5% | -75.8% | 0.20 | 0.44 | 2169.7x | 63 | 75% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
34.2% | -35.6% | 0.20 | 0.96 | 2488.8x | 42 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=1.5 |
28.8% | -64.4% | 0.20 | 0.45 | 829.0x | 193 | 46% |
| Supertrend period=14, mult=5 |
26.7% | -85.4% | 0.20 | 0.31 | 537.1x | 95 | 57% |
| ROC 모멘텀 n=67, threshold=0.14 |
26.4% | -67.9% | 0.20 | 0.39 | 504.6x | 253 | 21% |
| ADX / DI 방향성 period=38, threshold=23 |
1.5% | -26.4% | 0.20 | 0.06 | 1.5x | 18 | 7% |
| Parabolic SAR step=0.005, maxStep=0.24 |
17.5% | -87.9% | 0.20 | 0.20 | 71.8x | 221 | 54% |
| MACD fast=19, slow=56, signal=17 |
11.9% | -93.7% | 0.19 | 0.13 | 19.7x | 313 | 51% |
| Buy and hold | 43.5% | -69.5% | 0.20 | 0.63 | 14789.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 193-day EMA
- Sell — Sell when the 42-day EMA falls below the 193-day EMA